Diversification in Portfolio Selection ProblemsA Definition and some Financial Consequences

Touati-tliba Mohamed

Article Details

Diversification in Portfolio Selection ProblemsA Definition and some Financial Consequences

Authors:

Touati-tliba Mohamed

Publisher:

Ecole Supérieure de Commerce

Journal:

Revue des sciences commerciales et de gestion Vol.3 Issue 1, pp.35-68

Document Type:

Article

Publication Date:

4/2004

Document Language:

English

Document ID (Org No.):

2001552706

pISSN:

2773-3742

Keywords:

Abstract:

 Abstract: The purpose of this article is to propose a general definition of " more diversified » in portfolio problems and relate this definition to the optimal investment strategy. Central to this concern is the identification of what it is that is diversified and what determine the desirable degree of diversification. Some partial diversification results are provided using both the general expected utility model for arbitrary distributions as well as standard parametric distributions suitable for portfolio theory emphasizing the role of different parameters in determining the degree of diversification. It is shown that if the random vector of returns Yis a mutual fund transformation of.X then every risk averse investor diversify more under X. Furthermore, for elliptical and skew-normal distributions, necessary and sufficient conditions are given to insure that short sales are not the optimal investment strategy for all risk-averse investors. We also discuss the relation between relevant parameters of two distributions that imply more diversification under one distribution rather than the other.

Article Details

Diversification in Portfolio Selection ProblemsA Definition and some Financial Consequences

Authors:

Touati-tliba Mohamed

Publisher:

Ecole Supérieure de Commerce

Journal:

Revue des sciences commerciales et de gestion Vol.3 Issue 1, pp.35-68

Document Type:

Article

Publication Date:

4/2004

Document Language:

English

Document ID (Org No.):

2001552706

pISSN:

2773-3742

Portfolio selection

Diversification

Majorization

Negative interdependence

Elliptical distributions

Skew-elliptical distributions

Separating distributions

Issues

Article Details

Authors: Touati-tliba Mohamed

Publisher: Ecole Supérieure de Commerce

Journal: Revue des sciences commerciales et de gestion Vol.3 Issue 1, pp.35-68

Document Type: Article

Publication Date: 4/2004

Document Language: English

Document ID (Org No.): 2001552706

pISSN: 2773-3742

Issues

Authors:

Touati-tliba Mohamed

Publisher:

Ecole Supérieure de Commerce

Journal:

Revue des sciences commerciales et de gestion Vol.3 Issue 1, pp.35-68

Document Type:

Article

Publication Date:

4/2004

Document Language:

English

Document ID (Org No.):

2001552706

pISSN:

2773-3742